Table of Content

20 July 2014, Volume 22 Issue 7 Previous Issue    Next Issue

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The Dynamic Dependence Between Crude Oil Market and Stock Market Based on Bayesian Wishart Multivariate Stochastic Volatility model ZHU Hui-ming, PENG Cheng, YOU Wan-hai, DENG Chao 2014, 22 (7):  1-9.  Abstract ( 2134 )   PDF (3517KB) ( 1952 )   Save Bayesian dynamic correlation Wishart volatility model is established in this paper to address estimation problem of time-varying coefficient matrix in multivariate stochastic volatility. In order to make the correlation coefficient matrix incorporated time-varying characteristics, the precision matrices in CC-MSV models are set to following the Wishart distribution. Based on the analysis of statistic structure of model and the selection of parameters prior, the Gibss-MTM-ARMS sampling algorithm method is utilized to estimate model parameters. The empirical research applies the data of Shanghai Composite Index, S&P500 and crude oil future price. The research results show that the correlation between crude oil market and stock market is strong during the financial crisis, but it is difficult to identify the direction. Further, after the financial crisis, the U.S. stock market is obviously positive correlated with crude oil market, while the correlation between China stock market and crude oil market is very weak. All those indicate that models used in this paper can effectively depict the dynamic dependency between crude oil market and stock market. References | Related Articles | Metrics

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Measuring Systemic Financial Risk of China’s Financial Institution——Applying Extremal Quantile Regression Technology and CoVaR Model CHEN Shou-dong, WANG Yan 2014, 22 (7):  10-17.  Abstract ( 2465 )   PDF (1600KB) ( 3641 )   Save Based on the extreme theory, a new approach is presented for measuring systemic financial risk. Using extremal quantile regression, 33 listed financial institutions'contributions to the systemic risk of financial system are estimated and systemically important institutions in China' s financial system are recagnjzed. It is found that, the distributions of the growth rate of market valued total assets and the co-movement of the tail risk can be accurately estimated using the extremal quantile regression. The level and variance of the systemic risk contribution in bank sector are the highest. The top ten systemically important financial institutions are almost in bank sector. The levels of systemic contribution in security sector, insurance sector and trust sector are relatively low. Moreover, systemic contributions of joint-stock commercial banks are higher in our study. An empirical tool is provided in this paper for further macro-prudential regulation of systemically important institutions. References | Related Articles | Metrics

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Forecasting Analysis of Chinese Energy Consumption and Control Strategy under Policy Impact HUA Ling, XIE Nai-ming 2014, 22 (7):  18-25.  Abstract ( 2052 )   PDF (1407KB) ( 2355 )   Save In this paper, buffer operator and grey GM(1,1)model are introduced to simulate and forecast the total energy consumption and energy consumption per GDP. Two kinds of control policy models based on energy consumption forecasting are established and Chinese energy consumption per GDP is selected as an example. The research shows that the grey model has well simulated and forecasted the total energy consumption and energy consumption per GDP.China has a great potential to save energy in the twelfth five-year period and can achieve the target of energy consumption successfully. The safe control policy is [0.48,1),which means that the government should adjust the control of the twelfth five-year period to 0.48~1 time the one of the eleventh period. References | Related Articles | Metrics

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Choosing the Optimal Moments in Moment Restriction Models HU Yi, WANG Mei-jin, WANG Shou-yang 2014, 22 (7):  26-33.  Abstract ( 2374 )   PDF (888KB) ( 2146 )   Save Many behavior characteristics in the area of economics, finance and business management can be depicted by moment restriction models. Nevertheless, the parameters estimation in these models is sensitive to the selection of moments. How to choose the optimal moments, and then get more accurate parameter estimation and statistical inference is a crucial problem in empirical research. A method is proposed in this paper to select moments for two-step generalized method of moments (GMM) estimators in moment restriction models with many moments. The basic idea of this method is choosing moments such that the MSE of the GMM estimator is smallest. Firstly, iterative techniques are used to derive the higher order mean squared error (MSE) for two-step GMM, and obtain the approximate MSE for the estimators using Nagar decomposition. Then the optimal selection criterion is proposed and the asymptotic efficiency is shown. Monte Carlo simulations indicate that the proposed selection criterion could improve the finite sample properties of two-step GMM, and reduce the finite sample bias of two-step GMM, significantly. This research provides a theoretical basis for selection of moments in empirical studies. References | Related Articles | Metrics

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The Supply Chain Robust Coordination Strategy Based on Buy-back Contract Under Limited Demand Information QIU Ruo-zhen, HUANG Xiao-yuan, YUAN Hong-tao 2014, 22 (7):  34-42.  Abstract ( 2026 )   PDF (1806KB) ( 2021 )   Save Robust coordination with buyback contract for a supply chain with only knowing demand mean and interval based on minimax regret criterion is studied. Under the framework of buyback contract, a supply chain coordination model for a two-stage supply chain system with unknown detailed demand distribution is developed by using the performances of supply chain system and its members under optimal decision minus which under robust decision as the objective functions. Under the condition of only knowing demand interval and mean, the robust order policy of integrated supply chain, together with the robust contract coordination policy of decentralized one and the deviations of their performances based on minimax regret criterion are proposed by using robust optimization technology. Furthermore, regrets of supply chain system and its members who do not operating optimally for information lacking are analyzed under different service level and contract parameters. At last, numerical calculation are carried out to verify the robustness and effectiveness of supply chain buyback contract coordination strategy obtained by robust optimization. The results show that supply chain robust coordination strategy based on buyback contract can reduce the impact of demand uncertainty on the performance of supply chain system and its members effectively. Specially, compared to only knowing demand interval, obtaining additional information about mean value can improve the operational performance of supply chain. References | Related Articles | Metrics

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Buy-back Contracts for a Supply Chain with a Risk-neutral Supplier and a Risk-averse Retailer Who Take Joint Promotion Actions based on CVaR DAI Jian-sheng, MENG Wei-dong 2014, 22 (7):  43-51.  Abstract ( 2181 )   PDF (970KB) ( 2068 )   Save Based on CVaR risk measure criterion, the issue is discussed in this paper, that whether or not buy-back contract can coordinate supply chains with a risk-neutral supplier and a risk-averse retailer who take joint promotion actions to sell newsboy goods. Some of management enlightenment is attained. Channel members'optimal decision-making is explored under a given buy-back contract arrangement, and how exogenous parameters, such as buy-back contract parameters, risk aversion coefficient of the retailer, salvage value and shortage cost and so on, affect the optimal decision-making is also investigated. It shows that buy-back contracts, by introducing cost-sharing mechanism, can coordinate not-too-risk-averse supply chains, which cannot be coordinated by conventional buy-back contracts. In particular, salvage value and shortage cost have no effect on the above-mentioned conclusions. However, they exert important impacts on feasible space of buy-back contracts and what supply chain can be coordinated by buyback contracts. The main conclusions are verified by means of numerical analysis. References | Related Articles | Metrics

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Research on the Benefit Distribution of the Supply Chain Alliance on Indirect Rural Land Transfer WEN Xiu-chun, HE Fang, MA Zhi-qiang 2014, 22 (7):  52-58.  Abstract ( 1984 )   PDF (1026KB) ( 1905 )   Save As the benefit distribution is a common and critical problem in supply chain alliance, a fair and reasonable plan of benefit distribution is undoubtedly important for supply chain alliance. Based on the perspective of symmetrical and reciprocal symbiosis, according to the benefit distribution principle of production factors contribute, firstly, various production factors (e.g labor, land and capital) contribution rate are determined by Cobb-Douglas production function. Secondly, a game model about human capital factors (e.g labor) is set up and its optimal solution is given, yet the benefit about non-human capital factors (e.g land and capital) is distributed according to their investment proportions. At last, the optimal comprehensive allocations of the farmers, intermediary organizations and plantation companies are respectively obtained by numerical example in land transfer. The analysis in this paper has guiding significances not only for the distribution mechanism of the indirect rural land transfer, but also for the distribution mechanism of cooperation benefits between producers and suppliers. References | Related Articles | Metrics

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Efficiency Optimization of Coal Mine Production Logistics Under Safety Hard Constraint WANG Jin-feng, ZHAI Xue-qi, FENG Li-jie 2014, 22 (7):  59-66.  Abstract ( 2316 )   PDF (926KB) ( 2643 )   Save Improving efficiency under safety production is an urgent task for coal mine enterprises. Combined the complexity of coal mine production logistics, safety indexes are selected from personnel quality, machinery, environment, safety management and emergency rescue in the paper. The relationship of safety indexes and safety level is analyzed by response surface method and safety hard constraint of coal mine production logistics was obtained. Then an efficiency optimal model of coal mine production logistics is established through setting efficiency maximization as function, safety level and resource investment as constraints. Finally, case study shows the validity and applicability of efficiency optimal model. This research provids a scientific method to improve efficiency realize resource optimal allocation under the condition of safety production logistics. References | Related Articles | Metrics

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Reliability Analysis of Repairable System Composed by Unlimited Repairable Parts ZHU Shuo, XU Bao-guang, LIU Shi-qian 2014, 22 (7):  67-75.  Abstract ( 2178 )   PDF (2278KB) ( 1461 )   Save System often faults due to parts failure during operation. After replacement, values of system reliability indexes change, which is caused by the change of age distribution of system parts. And system reliability analysis method is studied. System is regarded as a set of all the same parts in a range, and it is assumed that system was composed of repairable parts which are all the same. Mathematical model of system parts is built, and results of system reliability descending with running time, system replacement ratio ascending are gotten. These results, which are important to the spare parts purchasing, cascade utilization of parts and maintenance policy making, are illustrated by actual data from the airline company. References | Related Articles | Metrics

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Research on Disruption Area Vulnerability Index Infrastructure based on Knowledge base XIAO Hai-dong, CHEN Ning 2014, 22 (7):  76-81.  Abstract ( 2225 )   PDF (1647KB) ( 1966 )   Save In this paper, vulnerability index infrastructure of disruption area is constructed based on knowledge base theory, to solve the problem that vulnerability of disruption is difficult to be described or understood by computer. Firstly, vulnerability index infrastructure is analyzed based on knowledge base, and vulnerability perception structure is constructed under disruption environment, multiple dimensions vulnerability data source are from multiple levels of supply chain in scene of disruption scenarios, the whole construction processing cover 3 parts: index extraction, features evaluation and situational awareness. Then, vulnerability index knowledge is mined with HTM (Hierarchical Temporal memory) method, which contributes to simplify index description with vulnerability situational awareness. Finally, inference machine design and inference algorithm are given to construct the knowledge base. The research shows that there is close relationship between evolution of disruption events and changes of disruption area vulnerability index infrastructure, with this vulnerability index infrastructure, explicit knowledge contained in disruption events and tacit knowledge contained in disruption management can be dynamically analyzed based on knowledge base. It contributes to manager's decision in recovering disruption with key factors accurately and dynamically, and reducing cost of disruption management, improve response efficiency. References | Related Articles | Metrics

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Research on Multi-task and SOEs’Executive Compensation Incentive Based on Fairness Preference YAN Yan-yang, JIN Peng 2014, 22 (7):  82-93.  Abstract ( 2079 )   PDF (940KB) ( 2183 )   Save Through bringing fairness preference of principal and agent into multi-task principal-agent model, optimal incentive mechanism of SOEs'executives are studied based on fairness preference. The results show that in the aspect of production task, when multi-task cost function is independent and complementary or substitution is enough small, the fairness of SOEs'principal and agent would make optimal compensation back to fair level by the paths of both direct and indirect impact. And the indirect impact represents that fairness firstly impacts expect compensation by impacting optimal incentive intensity firstly. The fairness preference between principal and agent exists substitutive effect. In the aspect of social stability task, explicit incentive is not efficient way for this task, so government needs resort to implicit incentive. Besides, it can be found that the executive with higher education level has more strong fairness preference. References | Related Articles | Metrics

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The Research on the Motivation Model based on the Dual Cost Control Standards MENG Fan-sheng, WANG Xue-song, ZHOU Liang-liang 2014, 22 (7):  94-99.  Abstract ( 2102 )   PDF (856KB) ( 2331 )   Save Cost control standard setting and incentive to employees is always an important issue in the management science research. With the evolution and change of enterprise environment, Taylor monolayer standard of cost control and incentive system is questioned, and the new concept of double standard cost control appears. The validity of double standard cost control in enterprise, satisfaction degree of employees individual rationality demand and maximization of enterprise profit are closely related. Based on the analysis of employees utility function and enterprise income function under the action of double standard cost control, construct incentive model for meeting the demand of employees individual rationality and enterprise profit maximization. Example of the model for further indicates that the employee incentive model under the action of double cost control standard plays an important role to motivate employees to control costs and improve enterprise income level. References | Related Articles | Metrics

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Empirical Study of CAFTA Industrial Agglomeration and Balance Effect LONG Yun-an 2014, 22 (7):  100-106.  Abstract ( 2013 )   PDF (1096KB) ( 1770 )   Save Based on the Chinese leading establishment of China-ASEAN Free Trade Area (CAFTA), CAFTA actively promotes free trade zone industrial agglomeration and balance development, and promotes Asian member countries industrials upgrading and balanced development through the integration of regional economy.On the base of spatial economics theory of industrial agglomeration, commonly used H index and model analysis are applied in this paper. With Empirical study is carried out in the process of regional economic integration of industrial agglomeration and industrial agglomeration to balanced development path. Research results show that: (a) the effective coordination mechanisms of integration is just the balance mechanism of the free trade area; (b) coordination speeds up industrial transfer; (c) the final results of industrial agglomeration will be towards the industry equilibrium. References | Related Articles | Metrics

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Research on Product Service Capacity Competition Mechanism Considering Channel Power Structure YAO Shu-jun, CHEN Ju-hong 2014, 22 (7):  107-115.  Abstract ( 2000 )   PDF (1502KB) ( 2231 )   Save For product service supply chain consisting of two manufacturers and one retailer, the competition of product service capacity is studied from perspective of service provided by manufacturers in this paper. The equilibrium strategies of supply chain members are solved from three different situations: Manufacturers Stackelberg, Retailers Stackelberg and Vertical Nash, used by Stackelberg dynamic game. Meanwhile, product service capacity competition strategies are put forward to meet different customer demand characteristics, by combing with the relationship between service cost and equilibrium results under different channel power structure. The results shows that affordable customer demand can be meet by RS price dominant strategy, while all price and service capability level are lower. Economical customers demand can be meet by VN service dominant strategy, while service capability level is higher. Professional customer demand can be meet by MS product dominant strategy, while price is higher.Quality customer demand can be meet by product service fusion strategy, while all price and service capability level are higher. Finally, the effectiveness of product service capacity competition strategies are anglicized by combing with varying relationships between wholesale price, service ability, retail price and service cost respectively. References | Related Articles | Metrics

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Study on Collaboration and Innovation Model of Manufacturers & Sellers in the Closed-loop Supply Chain XU Wei, ZHENG Shi-qiao, CHEN Dan-ping 2014, 22 (7):  116-123.  Abstract ( 2052 )   PDF (948KB) ( 2179 )   Save Because recycling the EOL products can both diminish environmental pollution and save useful social resources, widespread importance is attached to research of closed-loop supply chain by the academia. Six types of non-game closed-loop supply chain models of two levels are built based on innovation study and cooperation by the production function against backgrounds of stable and risk market and the existence of the optimal solution of the models and and the corresponding approaches is proved by using multi-mathematics methods. Information asymmetry is an important characteristic of supply chain and an increase in the share of imformation is a fundamental trend of supply chain development in times to come. Firstly, according to the following assumptions: innovation input can decrease the unit cost of remake and advertisements input, models proposed in this paper can increase the recyleing rate of EOL products and sales volume of remake. Secondly, collaboration is stressed in the course of finding the optimal solution of the models and supply chain management idea of making two sets of rules is put forward, for internal profit distribution and allied decision-making. Each member should abjure (or diminish at least) the internal fight. The amount of investment by each member is determined by the principle of ensuring the maximal profit of the whole supply chain. Finally, an emulational analysis of the model is made and by case study show that cooperation often brings much more profit to the supply chain than game in the same market and under the same innovation condition.Besides, the total profit of equal cooperation and subordinative cooperation remains the same wether under stable or risk-market conditions. Thus, host enterprises should try their best to support weaker enterprises to increase competitiveness of the whole supply chain. References | Related Articles | Metrics

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The Location of City Professional Logistics Centers on Consideration of CO2 Emissions ZHAO Quan-wu, YANG Xi 2014, 22 (7):  124-130.  Abstract ( 2168 )   PDF (1205KB) ( 2071 )   Save Plenty papers study logistics center location problems based on the perspectives of enterprises. While few scholars consider impacts of local government and logistics characteristics of different industries. Based on the logistics characteristics of steel distribution industry, a dual-objective integer-programming model is constructed both considering CO2 emissions and logistics costs, which represents the opinions of local government. Then doubles goals model are turn into a single one model by ideal point method. The logistics center location problems of Chongqing steel distribution industry is taken as an example, and the results of logistics center locations are obtained through collecting and computing the real data from Chongqing steel distribution industry. At last tax of CO2 emissions is calulated based on the standard of carbon tax in Australian. Results show that tax of CO2 could not reduce CO2 emissions effectively. Local government should adopt other City logistics methods to control CO2 emissions effectively, such as reasonable location of logistics center, vehicle selection, speed limit, time windows and so on. References | Related Articles | Metrics

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Emergency Network Model and Algorithm Based on Min-Max Regret Robust Optimization ZHANG Ling, CHEN Tao, HUANG Jun 2014, 22 (7):  131-139.  Abstract ( 2059 )   PDF (1480KB) ( 2685 )   Save After emergency, rescue process is represented by two stage. First stage is to start the emergency rescue network, including building temporary distribution centers, allocating reasonable emergency resource to assure rescue process working smoothly. The second stage is to dispatch emergency resource from temporary distribution centers to demand points. A min-max regret robust emergency network model is proposed for natural disasters under uncertainty, taking the second stage as auxiliary decision. Uncertain information is random and represented by finite scenarios. The proposed model is solved using scenario relaxation algorithm. Finally, a case study is proposed to highlight efficiency of the proposed model and solution algorithm. References | Related Articles | Metrics

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The Impact of Venture Capital Firms’Network Position on IPO Duration YANG Min-li, DANG Xing-hua 2014, 22 (7):  140-148.  Abstract ( 2113 )   PDF (881KB) ( 2406 )   Save Influence of venture capital firms'network position on IPO duration and the mechanism of this influence are investigated in this paper. With the data of Zero2IPO Database from January 1,2000 to December 31,2010, by using Cox proportional hazard model,it can be found that venture capital firms'network position has a significant influence on IPO duration——the higher the venture capital firms'network centrality, the faster they exit via IPO. To further reveal the mechanism of this influence, a two-step model is then constructed based on Heckman model. The regression results show that venture capital firms with higher network centrality not only can select high-quality ventures, but also can provide high-quality value-added services to them, so they can exit faster via IPO. References | Related Articles | Metrics